Matching Engine

A limit order book and matching engine built in C++ for learning systems programming and HFT concepts.

Features

• Limit orders with price-time priority matching
• Market orders that match immediately against resting orders
• Order cancellation
• Order book visualization (best bid/ask, spread, depth)
• Benchmark suite for measuring throughput and latency

Setup (macOS) - just skip to the build if you're on linux

Prerequisites

You need a C++ compiler and CMake. Install via Homebrew:

# Install Homebrew if you don't have it
/bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/HEAD/install.sh)"

# Install build tools
brew install cmake

You also need Xcode Command Line Tools (for the C++ compiler):

xcode-select --install

Build

# From the project root directory
mkdir build
cd build
cmake ..
make

Run

# Run the demo
./matching_engine

# Run the tests
./tests

# Run the benchmark
./benchmark

Project Structure

matching-engine/
├── CMakeLists.txt           # Build configuration
├── include/                 # Header files
│   ├── Types.h              # Common types (Price, Quantity, Side, etc.)
│   ├── Order.h              # Order struct
│   ├── Trade.h              # Trade struct
│   ├── OrderBook.h          # Order book (the core data structure)
│   └── MatchingEngine.h     # Engine (main interface)
├── src/                     # Implementation files
│   ├── main.cpp             # Demo program
│   ├── benchmark.cpp        # Performance benchmarking
│   ├── OrderBook.cpp        # Order book implementation
│   └── MatchingEngine.cpp   # Engine implementation
├── tests/                   # Tests
│   └── test_matching.cpp    # Correctness tests
└── data/                    # Historical data for replay (future)

Roadmap

• v1: Basic matching engine with limit/market orders
• v2: CSV replay of historical order data
• v3: Performance optimization (memory pools, cache-friendly structures)
• v4: Multithreading with lock-free queues
• v5: Network layer (TCP/UDP order submission)